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Investing Research Articles

2773 Research Articles

Improved Use of VIX Futures for Hedging the Stock Market

Can investors exploit the volatility risk premium to improve the hedging performance of S&P 500 Implied Volatility Index (VIX) futures? In his November 2019 paper entitled “Portfolio Strategies for Volatility Investing”, Jim Campasano tests an Enhanced Portfolio strategy which dynamically allocates to the S&P 500 Index and a position in the two nearest VIX futures… Keep Reading

Seasonal, Technical and Fundamental S&P 500 Index Timing Tests

Are there any seasonal, technical or fundamental strategies that reliably time the U.S. stock market as proxied by the S&P 500 Total Return Index? In the February 2018 version of his paper entitled “Investing In The S&P 500 Index: Can Anything Beat the Buy-And-Hold Strategy?”, Hubert Dichtl compares excess returns (relative to the U.S. Treasury… Keep Reading

Reducing Downside Risk of Trend Following Strategies

How can investors suppress the downside of trend following strategies? In their July 2019 paper entitled “Protecting the Downside of Trend When It Is Not Your Friend”, flagged by a subscriber, Kun Yan, Edward Qian and Bryan Belton test ways to reduce downside risk of simple trend following strategies without upside sacrifice. To do so,… Keep Reading

Return on Collectible U.S. Coins

Are collectible (mint state, brilliant uncirculated or proof) U.S. coins attractive to investors as an alternative asset class? In their October 2019 paper entitled “U.S. Coins Market: Historical Performance and Anomalies”, Khaled Obaid, Kuntara Pukthuanthong and David Maslar measure historical returns within the multi-billion dollar collectible U. S. coins market and determine what investors should… Keep Reading

Weekly Summary of Research Findings: 1/6/20 – 1/10/20

Below is a weekly summary of our research findings for 1/6/20 through 1/10/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Non-linear Model of Asset Returns

Is the conventional linear factor model comprised of a few presumably independent predictors the best, or even a good, way to model differences in returns across assets? In the December 2019 update of their paper entitled “The Cross-Section of Returns: A Non-Parametric Approach”, Enoch Cheng and Clemens Struck compare predictive powers of conventional linear models… Keep Reading

Optimizing the Combination of Economic Growth and Price Trends

Does combining an economic growth variable trend with an asset price trend improve the power to predict stock market return? What is the best way to use such a combination signal? In his December 2019 paper entitled “Growth-Trend Timing and 60-40 Variations: Lethargic Asset Allocation (LAA)”, Wouter Keller investigates variations in a basic Growth-Trend timing… Keep Reading

Tools for Defeating Data Snooping

Suppose ten stock market timing strategies out of 10,000 beat the market for ten years running. Are they true outperformers, or just lucky? Multiple hypothesis testing methods address that question by controlling for luck. What are these methods, and how should researchers use them? In their November 2019 paper entitled “An Evaluation of Alternative Multiple… Keep Reading

Cyclical Consumption as Stock Market Return Predictor

Do investors drive stocks to overvaluation (undervaluation) in good (bad) economic times, such that corresponding expectations for future returns are therefore relatively low (high). In the August 2019 update of their paper entitled “Consumption Fluctuations and Expected Returns”, flagged by a subscriber, Victoria Atanasov, Stig Møller and Richard Priestley introduce the cyclical consumption economic variable… Keep Reading

CPI-to-PPI Ratio and the Stock Market

In response to “PPI and the Stock Market”, a subscriber hypothesized that increases and decreases in the ratio of the Consumer Price Index (CPI) to the Producer Price Index (PPI) are bullish and bearish for the stock market, respectively. The reasoning for the hypothesis is that CPI reflects aggregate corporate revenue, while PPI reflects aggregate… Keep Reading